Estimates VAR and VARX models with Structured Penalties.
| Version: |
1.1.3 |
| Depends: |
R (≥ 3.5.0), methods, lattice |
| Imports: |
MASS, zoo, Rcpp, stats, utils, grDevices, graphics, abind |
| LinkingTo: |
Rcpp, RcppArmadillo, RcppEigen |
| Suggests: |
knitr, rmarkdown, gridExtra, expm, MCS, quantmod (≥ 0.4.28), codetools, attempt |
| Published: |
2025-06-28 |
| DOI: |
10.32614/CRAN.package.BigVAR |
| Author: |
Will Nicholson [cre, aut],
David Matteson [aut],
Jacob Bien [aut] |
| Maintainer: |
Will Nicholson <wbn8 at cornell.edu> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://github.com/wbnicholson/BigVAR |
| NeedsCompilation: |
yes |
| Materials: |
NEWS |
| In views: |
TimeSeries |
| CRAN checks: |
BigVAR results |